Windows XP Security Center reports that Zonealarm is not active and that computer is at risk

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Windows XP Security Center reports that Zonealarm is not active and that computer is at risk

When my XP Pro PC boots, Zonealarm 7.0.483 client program is always the last program to load. Sometimes, XP reports that there is no firewall active and the computer is at risk. I have read the forum comments regarding start up order and am aware that a core component of Zonealarm vsmon.exe starts as a Service when Windows starts and that this should protect the PC until the client program loads. Does this mean that the Windows method of checking that Zonelarm is active is wrong and that the Windows error message is wrong?